- 學位論文
現金比率風險溢酬--以台灣股票市場為例
Cash Holding ratio premium-Taking Taiwan Stock Market as an example
摘要
本研究以公司持有現金及報酬為主要討論要素，來探討公司現金持有與報酬間的關係，並以Fama-French三因子及四因子模型作測試，分析高現金持有與低現金持有公司之溢酬是否能夠被三因子及四因子模型所解釋，進一步研究高現金持有公司是否存在超額報酬。 本研究蒐集1999年到2013年台灣上市櫃公司資料，發現現金持有比例有逐年上升的趨勢，接著將報酬率依現金比率分群作T檢定，結果顯示高現金持有與低現金持有公司有顯著的差異。 研究結論發現，淨值市價比溢酬與現金溢酬呈現顯著負向關係，即高淨值市價比公司傾向持有低現金，低淨值市價比公司傾向持有高現金，此符合凱因斯交易性及預防性動機理論的觀點。規模溢酬的部分顯示，其對現金溢酬的影響不是很穩定，只有當現金比率與報酬率呈現正向關係時，規模溢酬與現金溢酬才有顯著的正向關係。動能溢酬的部分，則是與現金溢酬沒有明確的關係；Alpha值均不顯著，原因是投資人皆已經反映在市價上，現金比率大小差異不會產生異常報酬。
關鍵字
現金比率風險溢酬並列摘要
In this paper, we discuss the relationship between corporate cash holdings and returns in Fama-French three-factor and four-factor model to analyze Taiwan stock market during the 1999-2013 period. We examine whether high cash holding company and low cash holding company premium can be explained by three-factor and four-factor model to check whether there is an existence of abnormal returns. Empirical test results reveal that the high book-to-market ratio minus low(HML) factor have strong negative effects on the cash holding premium, while other factors show little or no information about the cash holding premium. We can infer from the results that high book-to-market ratio companies tend to have more cash than low book-to-market ratio companies, and this is consistent with Keynesian transactions and precautionary motive theory.Furthermore, alpha values are not significant, because the investors are already reflected in the market price, the cash ratio of the size difference does not generate abnormal returns.